DERIVATIVES, OSLO BØRS SEPTEMBER 2010 · This report will not be updated if any changes occur due to cancellations. The ... DERIVATIVES, OSLO BØRS SEPTEMBER 2010. 0 5 000 10 000

Disclaimer: All information in this presentation is obtained from documents already available to the public. Oslo Børs does not guarantee the accuracy of the information included in the presentation. This report will not be updated if any changes occur due to cancellations. The presentation does not in any way constitute a recommendation by Oslo Børs.

The OBX index increased in September by 8.6% to 349.95 points. The index is up 3% so

far this year.

The average number of contracts traded in September was 47 918 contracts/day (2010

average: 55 334).

The premium turnover for stock options fell by 19% to 67 MNOK, whereas the stock

forward exposure fell by 6% to 639 MNOK. As for the OBX products, the future turnover

decreased by 8% to 23 BNOK, and the index options increased 13% to 38 MNOK.

The most traded stock option in September was Statoil with 16 MNOK or 23% of the

stock option premium turnover. Yara and Seadrill followed.

Statoil, Norsk Hydro and Seadrill were the most traded stock forwards. Statoil was the

most traded with 325 MNOK, 51% of the total.

Expirations in September: OBX, Statoil, Norske Skog, Tomra, Marine Harvest and

Seadrill.

Expirations next month (21 October): OBX, Statoil, Acergy, Orkla, Telenor, Renewable

Energy Corp., Royal Caribbean Cruises, TGS Nopec Geophysical, Petroleum Geo Services.

For more detailed information, please read ahead

This summary continues with a presentation of general statistics, followed by a product-

and volatility overview towards the end. We hope to see you back in the derivatives

market next month.

DERIVATIVES, OSLO BØRS SEPTEMBER 2010

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Contract Distribution

Index Futures

Single Stock

Fwd/FutOBX Index Options

Stock Options

TURNOVER - CONTRACTS/DAY (average)

STOCK OPTIONS

10 821

OBX - OPTIONS

3 043

STOCK FWD/FUT

3 599

OBX - FUTURES

30 456

Contracts/day last month

STOCK OPTIONS

12 671

OBX - OPTIONS

3 032

STOCK FWD/FUT

5 592

OBX - FUTURES

34 039

Contracts/day YTD 2010

4

LIQUIDITY - OPTION PREMIUM DISTRIBUTION

35.9 %

14.8 %

13.9 %

13.7 %

4.6 %

4.4 %

2.2 %

1.8 %

1.8 %

1.4 %

1.4 %

1.3 %

0.9 %

0.9 %

0.8 %

0.1 %

Option Premium last monthOBX - options

Statoil

Yara International

Seadrill

Norsk Hydro

Renewable Energy Corp.

Orkla

DnB NOR

Norske Skog

Storebrand

Royal Caribbean C.

Telenor

Petroleum Geo-Services

Acergy

Marine Harvest Group

Tomra

29.9 %

18.6 %

16.4 %

5.8 %

5.8 %

5.4 %

4.2 %

2.8 %

2.8 %

2.6 %

2.0 %

1.4 %

0.9 %

0.6 %

0.5 %0.1 %

Option Premium YTD 2010

OBX - options

Yara International

Statoil

Seadrill

Norsk Hydro


Telenor


Orkla

DnB NOR

Acergy

Royal Caribbean Cruises


Norske Skog

Storebrand

Tomra

5

SINGLE STOCK FORWARD/FUTURE - EXPOSURE DISTRIBUTION

50.9 %

11.7 %

10.1 %

7.9 %

5.7 %

5.6 %

1.7 %1.7 %

1.2 %1.1 %

0.9 %

0.8 %

0.6 %

0.1 %

0.1 %

0.0 %

Stock Fwd/Fut Premium last month

Statoil

Norsk Hydro

Seadrill

Telenor

Yara International

Royal Caribbean C.

Orkla


DnB NOR


Storebrand


Acergy

TGS Nopec Geo.

Norske Skog

Tomra

35.1 %

14.5 %

9.9 %

8.6 %

8.6 %

6.7 %

4.6 %

3.8 %

2.0 %

1.9 %

1.1 %

1.1 %

0.8 %

0.7 %

0.5 %

0.1 %

0.0 %

Stock Fwd/Fut Premium YTD 2010

Statoil

Norsk Hydro

Telenor

Seadrill

Yara International

Royal Caribbean Cruises


Orkla

DnB NOR


TGS Nopec Geo.


Storebrand

Acergy

Tandberg

Norske Skog

Tomra

6

PREMIUM - SINGLE STOCK DERIVATIVES

119

9297

148

91

83

131

142

89

73

83

67

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600 000

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Single Stock Options

Turnover premium/month - Stock Options

Open Interest (avg) - Stock Options

1 0

03

806

982

1 1

30

785

686

1 2

22

860

619

642

682

639

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Single Stock Forwards & Futures

Turnover premium/ month - Single Stock Fwds

Open Interest (avg) - Single Stock Fwds

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PREMIUM - OBX DERIVATIVES

57

3820

32

59

19 21

6870

56

50

38

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70 000

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OBX - Index Options

Turnover premium/ month - OBX-indexoptions

Open Interest (avg) - OBX-indexoptions

21 7

96

21 2

35

19 2

10

24 1

73

22 8

71

23 2

91

23 8

00

26 6

62

24 1

67 20 6

72

24 9

54

23 0

76

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OBX - Index Futures

Turnover exposure/month - OBX-indexfutures

Open Interest (avg) - OBX-indexfutures

8

BROKER STATISTICS - SEPTEMBER 2010

41.2 %

26.8 %

6.5 %6.4 %

3.8 %

3.7 %

3.3 %

3.0 %

2.5 %

1.3 %

0.7 %

0.6 %

0.3 %

Options

DnB NOR

Non-Norwegian

Handelsbanken

SEB Enskilda

Pareto

Nordea

Nordnet

Argo

Carnegie

Net Fonds

Fondsfinans

First

Danske Bank

98.3 %0.8 %

0.6 %

0.2 %

0.1 %

Stock Forwards & Futures

DnB NOR

Terra Markets

Handelsbanken

Nordea

First

9

45.0 %

35.6 % 6.8 %

4.8 %

2.9 %

2.2 %

2.0 %

0.2 %

0.2 %

0.1 %

0.1 %

OBX Futures

DnB NOR

Handelsbanken

Non-Norwegian

Erik Penser

Argo

SEB Enskilda

Nordea

Fondsfinans

ABG Sundal Collier

Terra Markets

Nordnet

10

The OBX Index consists of the 25 most traded securities in the OSEBX Index. The constituents are selected on the basis of six months

turnover rating. It is a semi-annually revised free float adjusted total return index (dividend adjusted) with composition changes and

cappings implemented on the third Friday in June and December. In the period between the composition review dates, the number of

shares for each constituent is fixed with exception of cappings and continuous adjustments for corporate actions. The OBX Index is a

tradable index with exchange traded futures and options available.

OBX INDEX - CONSTITUENTS AND OTHER INFORMATION

30.09.10: 349.95 All time high (22.05.08 close): 462.70

11

The current OBX Index composition can be found below. The Derivatives department at Oslo Børs distributes a daily report with information on the OBX Index and its components. If you would like to receive this daily update, please contact [email protected].

mailto:[email protected]

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OSLO BØRS - LISTED DERIVATIVES OPEN INTEREST - OPTIONS AND OBX FUTURES ONLY

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Norske Skog (NSG)

NORSKE SKOG is one of the world's

biggest producers of publication paper, with 14 paper mills in 11 countries and a production capacity of around 4.5 mill. tonnes per year. Home: www.norskeskog.com

Sector: Paper Products 15105020 Last (NOK): 12.10

ISIN: NO 000 413 5633 Avg.Imp.Vol last

month: 62 %

Reuters: NSG.OL Expiry: Mar, Jun, Sep,

Dec

Bloomberg: NSG NO Open Int (avg): 12 473

Liquidity: Tradable in blocks of

1000-2000 contracts.

OBX Weight: N/A O/I avg. 2010: 16 821

Domicile: Norway Derivatives: Options & Fwd/Fut Market Maker(s): 4


(MHG)Sector : Packaged Foods & Meats

30202030 Last (NOK): 5.32

ISIN: NO 000 305 4108 Avg.Imp.Vol last month: 36 %

Reuters : MHG.OL Expiry: Mar, Jun, Sep, Dec

Bloomberg : MHG NO Open Int (avg): 63 362

OBX Weight: 2.06% O/I avg. 2010: 63 687

Domicile: Norway Derivatives : Options & Fwd/Fut Market Maker(s): 3

Norsk Hydro (NHY) Sector : Aluminium 15104010 Last (NOK): 36.78ISIN: NO 000 505 2605 Avg.Imp.Vol last month: 38 %

Reuters : NHY.OL Expiry: Feb, May, Aug, Nov

Bloomberg : NHY NO and NOHYF US Open Int (avg): 58 857

OBX Weight : 4.11% O/I avg. 2010: 58 685

Domicile: Norway Derivatives : Options & Fwd/Fut Market Maker(s): 6

NORSK HYDRO is a global supplier of

aluminium and aluminium products. Based

in Norway, the company employs 25,000

people in more than 30 countries.

Home: www.norskhydro.com

Liquidity: Tradable in blocks of 3000

contracts.

MARINE HARVEST is the world's leading

seafood company. They offer customers

and consumers a wide range of seafood

products and produce one fourth of the

world's farmed salmon. The company is

present in 18 countries and has 7500

employees worldwide.

Home: www.marineharvest.com

Liquidity: Tradable in blocks of 10 000

contracts.

14

15

16

17

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Argo Securities: OBX, DNBNOR, NHY, ORK, RCL, SDRL, STL, TEL

DnB NOR Markets: OBX, ACY, MHG, NHY, NSG, ORK, PGS, REC, SDRL, STB, STL, TAA, TEL, TOM, YAR, RCL, TGS

Handelsbanken Capital Markets: OBX, ACY, DNBNOR, MHG, NHY, NSG, ORK, PGS, REC, SDRL, STB, STL, TEL, TOM, YAR, RCL, TGS

Nordea Markets: OBX, ACY, NHY, NSG, ORK, PGS, REC, STL, TEL, TOM

SEB Enskilda: OBX, DNBNOR, NHY, STL, TEL

Timber Hill Europe: OBX, DNBNOR, MHG, NHY, NSG, ORK, SDRL, STB, STL, TEL, TOM, YAR

MARKET MAKERS


19

Daily Volatilities = average of Last Bid+Offer vol. for ATM CALLS and PUTS for the nearest two months. Lack of data may occur, thus volatilities should be seen as indicative.

OPTIONS - ATM IMPLIED VOLATILITIES

10 %

20 %

30 %

40 %

50 %

60 %

70 %

80 %

90 %

OBX ATM Implied Vol

20 %

40 %

60 %

80 %

100 %

120 %

ACY ATM Implied Vol

20 %

40 %

60 %

80 %

100 %

120 %

DNBNOR ATM Implied Vol


20

20 %

40 %

60 %

80 %

100 %

120 %

140 %

MHG ATM Implied Vol

20 %

30 %

40 %

50 %

60 %

70 %

80 %

90 %

100 %

NHY ATM Implied Vol

40 %

50 %

60 %

70 %

80 %

90 %

100 %

110 %

120 %

130 %

NSG ATM Implied Vol


21

20 %

30 %

40 %

50 %

60 %

70 %

80 %

ORK ATM Implied Vol

20 %

30 %

40 %

50 %

60 %

70 %

80 %

PGS ATM Implied Vol

20 %

30 %

40 %

50 %

60 %

70 %

80 %

RCL ATM Implied Vol


22

50 %

60 %

70 %

80 %

90 %

100 %

110 %

120 %

130 %

REC ATM Implied Vol

30 %

40 %

50 %

60 %

70 %

80 %

90 %

100 %

110 %

120 %

SDRL ATM Implied Vol

30 %

40 %

50 %

60 %

70 %

80 %

90 %

100 %

110 %

120 %

130 %

STB ATM Implied Vol


23

20 %

30 %

40 %

50 %

60 %

70 %

80 %

90 %

STL ATM Implied Vol

20 %

30 %

40 %

50 %

60 %

70 %

80 %

90 %

TEL ATM Implied Vol

20 %

30 %

40 %

50 %

60 %

70 %

80 %

90 %

TOM ATM Implied Vol


24

30 %

40 %

50 %

60 %

70 %

80 %

90 %

100 %

YAR ATM Implied Vol

Documents

DERIVATIVES, OSLO BØRS SEPTEMBER 2010 · This report will not be updated if any changes occur due to cancellations. The ... DERIVATIVES, OSLO BØRS SEPTEMBER 2010. 0 5 000 10 000